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Run the game in Windows 98 compatibility mode.

To do so right click on the file Psychonauts.exe in the game folder, then hit properties and navigate to the Compatibility tab. Check "Run this program in compatibility mode for:" and select "Windows 98 / Windows Me" in the dropdown menu.

The official forums recommend running it in Windows 95 compatibility mode but I found that to be crashing the cutscenes as well for me.
Tx!! this tip It works also it windows 10 (: